Leibniz Group : SWARM

Year-to-Date
28.50%
Jun Performance
0.66%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
14.02%
Sharpe (RFR=1%)
1.17
CAROR
17.78%
Assets
$ 12.0M
Worst DD
-5.79
S&P Correlation
-0.08

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
9/2015
SWARM 0.66 6.25 28.50 42.96 111.32 - - 120.54
S&P 500 1.84 19.95 -4.04 5.39 26.82 - - 59.83
+/- S&P 500 -1.18 -13.70 32.54 37.57 84.50 - - 60.71

Strategy Description

Summary

Leibniz Group is an independent Asset Management company based in Lucerne/Switzerland. The company was incorporated in 2012 by some very experienced investment specialists with primary activities in Alternative Asset Management. As of today, award winning systematic investment strategies... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 20000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -10.00%
Worst Peak-to-Trough
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 80.00%
Intraday 20.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
10.00%
Counter-trend
10.00%
Fundamental
10.00%
Pattern Recognition
10.00%
Seasonal/cyclical
10.00%
Technical
10.00%
Other
40.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Leibniz Group is an independent Asset Management company based in Lucerne/Switzerland. The company was incorporated in 2012 by some very experienced investment specialists with primary activities in Alternative Asset Management. As of today, award winning systematic investment strategies are the core competencies of Leibniz Group. Regulation: Registered with the US Commodity Futures Trading Commission ("CFTC") as a commodity trading advisor and a member of the National Futures Association ("NFA"). Regulated member of the Financial Services Standards Association (VQF), the largest Swiss Self- Regulatory Organization (SRO) recognized by the Swiss Financial Market Supervisory Authority (FINMA).

Investment Strategy

The SWARM Program (SWARM) is a fully systematic investment strategy based entirely on machine learning approaches. The strategy screens assets globally and then build positions via 20+ FX spot pairs. Various sub-strategies diversify trading approaches and contribute their inputs to their respective regularized neural networks. The execution of the strategy is systematic, and all facets of the models, risk management and trade allocation are fully automated. Average holding periods approx. 1 day.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-5.79 2 4 2/1/2018 4/1/2018
-5.27 8 2 11/1/2016 7/1/2017
-5.25 5 3 10/1/2015 3/1/2016
-4.49 7 1 1/1/2019 8/1/2019
-2.30 1 1 8/1/2018 9/1/2018
-1.93 1 1 1/1/2020 2/1/2020
-1.18 1 1 10/1/2019 11/1/2019
-1.03 2 1 8/1/2016 10/1/2016
-0.03 1 1 1/1/0001 9/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
34.88 7 8/1/2017 2/1/2018
26.92 4 3/1/2020 6/1/2020
13.52 4 10/1/2018 1/1/2019
11.16 2 9/1/2019 10/1/2019
10.65 5 4/1/2016 8/1/2016
8.55 4 5/1/2018 8/1/2018
6.72 2 12/1/2019 1/1/2020
5.09 1 11/1/2016 11/1/2016
0.68 1 4/1/2019 4/1/2019
0.39 1 2/1/2017 2/1/2017
0.22 1 6/1/2019 6/1/2019
0.18 1 10/1/2015 10/1/2015
0.04 1 12/1/2015 12/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.79 2 3/1/2018 4/1/2018
-4.69 3 1/1/2016 3/1/2016
-2.90 5 3/1/2017 7/1/2017
-2.83 2 12/1/2016 1/1/2017
-2.33 1 5/1/2019 5/1/2019
-2.30 1 9/1/2018 9/1/2018
-2.02 2 7/1/2019 8/1/2019
-1.93 1 2/1/2020 2/1/2020
-1.18 1 11/1/2019 11/1/2019
-1.09 2 2/1/2019 3/1/2019
-1.03 2 9/1/2016 10/1/2016
-0.63 1 11/1/2015 11/1/2015
-0.03 1 9/1/2015 9/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable58.6264.2977.3697.87100.00100.00100.00
Average Period Return1.454.478.7317.1126.9439.6964.06
Average Gain3.327.9612.0217.5126.9439.6964.06
Average Loss-1.21-1.81-2.51-0.91
Best Period19.4526.0832.3042.9652.9962.34111.32
Worst Period-4.56-4.69-5.08-0.914.825.4639.45
Standard Deviation4.057.1610.0812.2414.4414.5920.68
Gain Standard Deviation4.336.699.0712.0814.4414.5920.68
Loss Standard Deviation1.061.261.63
Sharpe Ratio (1%)0.340.590.821.321.762.582.95
Average Gain / Average Loss2.754.414.7919.15
Profit / Loss Ratio3.907.9316.37880.94
Downside Deviation (10%)1.241.962.521.280.790.81
Downside Deviation (5%)1.061.431.610.30
Downside Deviation (0%)1.021.301.410.13
Sortino Ratio (10%)0.841.662.489.4524.4136.35
Sortino Ratio (5%)1.282.955.1154.48
Sortino Ratio (0%)1.413.436.21128.35

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 7 25.24 3/2020
Systematic Trader Index Month 9 25.24 3/2020
IASG CTA Index 3 Year 7 65.03 2016 - 2019
IASG CTA Index Month 5 5.55 12/2019
Systematic Trader Index Month 5 5.55 12/2019

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.